The reason the JPegs are smaller is that the coulor resolution and changes between each pixel are smaller.

What about
[pascal]
MyList := DXImageList.Create(Nil);
...
MyList.Items.Add(DXImageItem.Create(MyList));
DXImageItem.LoadFromFile('SingleImage.jpg');
...
MyList.Free;
[/pascal]

As I said - I dont have DelphiX so syntax might be wrong.